Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0155 |
| Annualized Std Dev | 0.1948 |
| Annualized Sharpe (Rf=0%) | -0.0798 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4484.0000 |
| NAs | 1.0000 |
| Minimum | -0.1762 |
| Quartile 1 | -0.0036 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0041 |
| Maximum | 0.1961 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0123 |
| Skewness | 0.1483 |
| Kurtosis | 47.0187 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0088 |
| Gain Deviation | 0.0101 |
| Loss Deviation | 0.0111 |
| Downside Deviation (MAR=210%) | 0.0133 |
| Downside Deviation (Rf=0%) | 0.0088 |
| Downside Deviation (0%) | 0.0088 |
| Maximum Drawdown | 0.6762 |
| Historical VaR (95%) | -0.0139 |
| Historical ES (95%) | -0.0286 |
| Modified VaR (95%) | -0.0080 |
| Modified ES (95%) | -0.0080 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-12-28 | 2008-11-21 | NA | -0.6762 | 4086 | 985 | NA |
| 2004-01-21 | 2004-05-13 | 2004-11-24 | -0.1529 | 215 | 80 | 135 |
| 2003-06-09 | 2003-09-15 | 2004-01-16 | -0.1286 | 155 | 69 | 86 |
| 2004-11-29 | 2004-12-02 | 2004-12-07 | -0.0184 | 7 | 4 | 3 |
| 2004-12-15 | 2004-12-15 | 2004-12-22 | -0.0065 | 6 | 1 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | 0 | 0 | 0.5 | -0.2 | -0.6 | 0 | 0.6 | 0.3 | 0.7 |
| 2004 | 1.1 | 0.8 | 0.8 | 0.8 | 0.7 | 1.5 | 0.4 | 0.6 | 0.4 | 0.6 | 0.5 | 0.1 | 8.4 |
| 2005 | -0.1 | 0.3 | 0.6 | 0.4 | 1 | 0.7 | -0.2 | 0.1 | 0.2 | 0 | 0.5 | 1.3 | 4.9 |
| 2006 | 1.4 | 0.3 | -1.1 | 0.4 | 0.1 | 0 | 0.2 | 0.4 | 0.1 | -0.2 | 0.8 | -0.4 | 2.1 |
| 2007 | 0.4 | -0.1 | -0.2 | -0.3 | -0.1 | 0.8 | -2.8 | 0.6 | 0.4 | -0.4 | 1.2 | 1.8 | 1.3 |
| 2008 | -0.1 | -0.6 | 1.7 | -0.4 | 0.2 | -0.5 | 0.6 | 0.3 | 4.2 | 3.2 | -6 | 1.8 | 3.9 |
| 2009 | -1.3 | 0 | 2 | 2.3 | 2.1 | 0.6 | 1.1 | -1.4 | -0.7 | -2.6 | 1.7 | 0.4 | 4.1 |
| 2010 | 2 | 0.7 | 0.5 | -0.9 | -0.9 | 0.4 | 0.2 | 0.6 | -0.1 | 0.7 | 0.7 | 0.4 | 4.4 |
| 2011 | 0.2 | 0.7 | 0.6 | 0.3 | -0.2 | 0 | 2.7 | 0.4 | -2 | -0.4 | -1.4 | -0.9 | -0.2 |
| 2012 | 0.6 | 1 | -1.1 | 1.2 | -1.1 | 0.4 | 0.1 | 0.1 | 0.8 | 1.2 | -0.6 | 0.6 | 3.2 |
| 2013 | 0.3 | 1.1 | 0.2 | -0.1 | -1.4 | 1.4 | -1 | 0.4 | -0.2 | -0.2 | 0.2 | 0.6 | 1.2 |
| 2014 | -0.3 | 0 | 0 | -0.1 | 0.2 | -0.6 | -1.4 | -0.1 | 0.1 | 0.3 | -0.5 | 1.4 | -0.9 |
| 2015 | -0.3 | 0.2 | 0.4 | 0.1 | 0.4 | 0.1 | 1.1 | 0.3 | -1.1 | 0.3 | 1 | -0.3 | 2 |
| 2016 | -0.8 | 1 | -0.1 | -0.1 | -0.5 | 0 | -0.4 | 0.4 | 1.2 | -1 | -0.4 | 0.3 | -0.4 |
| 2017 | 0 | 0.2 | 0.1 | -0.3 | -0.1 | 0 | -0.9 | 0.6 | 0.6 | 0.2 | 1 | -0.3 | 1.2 |
| 2018 | 0.1 | 0 | 0.4 | -0.3 | 0.6 | 0.2 | 0.1 | 0 | 1 | 1.7 | 0 | -0.3 | 3.4 |
| 2019 | 0.2 | 0 | 0.7 | 0.1 | -2.3 | 0.5 | -0.3 | -0.8 | -0.3 | 0.2 | 0.1 | 0.6 | -1.4 |
| 2020 | -0.6 | -2.5 | -3.6 | -0.9 | 1.6 | 0.7 | 0.6 | 1 | 0.2 | -0.5 | 0.7 | 0.3 | -3.2 |
| 2021 | 0.7 | 1.4 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2003-05-28 15 SPY 95.7 0.0028 0.0347 0.0423 0.149 -0.115 -0.322 NA <NA> NA NA NA
2 2003-05-29 15.0 SPY 95.4 -0.0026 0.0299 0.0395 0.131 -0.111 -0.319 NA <NA> NA NA NA
3 2003-05-30 15.0 SPY 97.0 0.016 0.0361 0.0548 0.142 -0.0939 -0.298 NA <NA> NA NA NA
4 2003-06-02 15 SPY 97.4 0.0041 0.0383 0.0593 0.158 -0.0921 -0.306 NA <NA> NA NA NA
5 2003-06-03 15.0 SPY 97.8 0.0041 0.0246 0.0487 0.181 -0.0634 -0.291 NA <NA> NA NA NA
6 2003-06-04 15 SPY 99.2 0.0144 0.0365 0.0659 0.188 -0.0523 -0.281 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
